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- catalog abstract "An extensive empirical literature in finance has documented not only the presence of anamolies in the Black-Scholes model, but also the "term-structures" of these anamolies (for instance, the behavior of the volatility smile or of unconditional returns at different maturities). Theoretical effects in the literature at addressing these anamolies have largely focused on two extentions of the Black-Scholes model: introducing jumps into the return process, and allowing volatility to be stochastic. This paper employs commonly-used versions of these two classes of models to examine the extent to which the models are theoretically capable of resolving the observed anamolies. We find that each model exhibits some "term-structure" patterns that are fundamentally inconsistent with those observed in the data. As a consequence, neither class of models constitutes an adequate explanation of the empirical evidence, although stochastic volatility models fare better than jumps in this regard.".
- catalog contributor b11048550.
- catalog contributor b11048551.
- catalog contributor b11048552.
- catalog created "c1998.".
- catalog date "1998".
- catalog date "c1998.".
- catalog dateCopyrighted "c1998.".
- catalog description "An extensive empirical literature in finance has documented not only the presence of anamolies in the Black-Scholes model, but also the "term-structures" of these anamolies (for instance, the behavior of the volatility smile or of unconditional returns at different maturities). Theoretical effects in the literature at addressing these anamolies have largely focused on two extentions of the Black-Scholes model: introducing jumps into the return process, and allowing volatility to be stochastic. This paper employs commonly-used versions of these two classes of models to examine the extent to which the models are theoretically capable of resolving the observed anamolies. We find that each model exhibits some "term-structure" patterns that are fundamentally inconsistent with those observed in the data. As a consequence, neither class of models constitutes an adequate explanation of the empirical evidence, although stochastic volatility models fare better than jumps in this regard.".
- catalog description "Includes bibliographical references (p. 26-29).".
- catalog extent "37 p. :".
- catalog isPartOf "Working paper (Harvard University. Graduate School of Business Administration. Division of Research) ; 99-072.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 99-072".
- catalog issued "1998".
- catalog issued "c1998.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "Of smiles and smirks : a term-structure perspective / Sanjiv R. Das and Rangarajan K. Sundaram.".
- catalog type "text".